相关论文: Row finite systems of stochastic differential equa…
Motivated by the study of dynamics of interacting spins for infinite particle systems, we consider an infinite family of first order differential equations in a Euclidean space, parameterized by elements $x$ of a fixed countable set. We…
A stochastic differential equation with coefficients defined in a scale of Hilbert spaces is considered. The existence and uniqueness of finite time solutions is proved by an extension of the Ovsyannikov method. This result is applied to a…
A stochastic differential equation with coefficients defined in a scale of Hilbert spaces is considered. The existence, uniqueness and path-continuity of infinite-time solutions is proved by an extension of the Ovsyannikov method. This…
We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
This paper is concerned with the existence and uniqueness of random periodic solutions for stochastic differential equations (SDEs), where the drift terms involved need not to be uniformly dissipative. On the one hand, via the reflection…
This paper presents an analysis approach to finite-time attraction in probability concerns with nonlinear systems described by nonlinear random differential equations (RDE). RDE provide meticulous physical interpreted models for some…
We consider an infinite system of coupled stochastic differential equations (SDE) describing dynamics of the following infinite particle system. Each partricle is characterised by its position $x\in \mathbb{R}^{d}$ and internal parameter…
We study finite and countably infinite systems of stochastic differential equations, in which the drift and diffusion coefficients of each component (particle) are determined by its rank in the vector of all components of the solution. We…
Stochastic dynamical systems are fundamental in state estimation, system identification and control. System models are often provided in continuous time, while a major part of the applied theory is developed for discrete-time systems.…
The construction of the general solution sequence of row-finite linear systems is accomplished by implementing -ad infinitum- the Gauss-Jordan algorithm under a rightmost pivot elimination strategy. The algorithm generates a basis (finite…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…
We consider finite-dimensional systems of linear stochastic differential equations ${\partial_t}{x_k}\left( t \right) = {A_{kp}}\left( t \right){x_p}\left( t \right)$, ${\bf A}(t)$ being a stationary continuous statistically isotropic…
Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
A supersymmetric method for the construction of so-called conditionally exactly solvable quantum systems is reviewed and extended to classical stochastic dynamical systems characterized by a Fokker-Planck equation with drift. A class of…
In this paper we study the problem of almost periodicity of solutions for dissipative differential equations (Bronshtein's conjecture). We give a positive answer to this conjecture for monotone almost periodic systems of…
Infinite-dimensional stochastic differential equations (ISDEs) describing systems with an infinite number of particles are considered. Each particle undergoes a L\'evy process, and the interaction between particles is determined by the…